Ei = p + A,& (4) - efinance.org.cn

The CAPM: Theory and Evidence - efinance.org.cn

First draft: August 2003 Not for quotation Comments solicited The CAPM: Theory and Evidence by Eugene F. Fama and Kenneth R. French* The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965)

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American Finance Association

American Finance Association Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk Author(s): William F. Sharpe Source: The Journal of Finance, Vol. 19, No. 3 (Sep., 1964), pp. 425-442

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American Finance Association

376 The Journal of Finance in mortgagors, and seasonality. We provide maximum-likelihood estimates of our proportional-hazards model given …

  Finance, American, Association, Maximum, American finance association

Liquidity and Credit Risk - efinance.org.cn

THE JOURNAL OF FINANCE •VOL. LXI, NO. 5 OCTOBER 2006 Liquidity and Credit Risk JAN ERICSSON and OLIVIER RENAULT∗ ABSTRACT We develop a structural bond valuation model to simultaneously capture liquidity and

  Bond, Liquidity

American Finance Association

American Finance Association Efficient Capital Markets: II Author(s): Eugene F. Fama Source: The Journal of Finance, Vol. 46, No. 5 (Dec., 1991), pp. 1575-1617

  Finance, American, Capital, Market, Association, American finance association, Capital markets

SPECIAL COMMENT Corporate Default and …

GLOBAL CORPORATE FINANCE 2 FEBRUARY 28, 2011 SPECIAL COMMENT: CORPORATE DEFAULT AND RECOVERY RATES, 1920-2010 Introduction Moody’s credit ratings facilitate the efficient functioning of capital markets by providing independent

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American Finance Association

American Finance Association Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene F. Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth

  Finance, Capital, Market, Efficient, Efficient capital markets

Source: The Journal of Financial and Quantitative …

Behavioral Portfolio Theory Author(s): Hersh Shefrin and Meir Statman Source: The Journal of Financial and Quantitative Analysis, Vol. 35, No. 2 (Jun., 2000), pp. 127

  Behavioral, Theory, Portfolio, Behavioral portfolio theory

The Equity Premium: Stock and Bond Returns since …

CFA Institute The Equity Premium: Stock and Bond Returns since 1802 Author(s): Jeremy J. Siegel Source: Financial Analysts Journal, Vol. 48, No. 1 (Jan. - Feb., 1992 ...

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Moody's Market Implied Ratings - efinance.org.cn

Moody's Market Implied Ratings Description, Methodology, and Analytical Applications Market Implied Ratings provides credit risk and relative value signals from five …

  Market, Ratings, Implied, Moody, Moody s market implied ratings

Alternative Risk Premia: What Do We Know? - …

Alternative Risk Premia: What Do We Know? equity space, the capital asset pricing model has been supplemented by a ve-factor model, which is based on size, value, momentum, low beta and quality risk factors.

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Computational Risk Management - HKFRM

Pricing of Convertible Bond Based on GARCH Model ..... 77 Mengxian Wang and Yuan Li Sentiment Capital Asset Cognitive Price and Empirical Evidence

  Model, Asset, Pricing

A Primer on Alternative Risk Premia - Thierry Roncalli

A Primer on Alternative Risk Premia 1 Introduction Over the last few years, factor investing has grown in popularity and rapidly attracted asset managers and large institutional investors.

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Zeliade White Paper May, 2011 Zeliade Systems

Zeliade Systems Model Validation: theory, practice and perspectives Zeliade White Paper May, 2011 Zeliade Systems ZWP-0006

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Asset Liability Management: An Overview - Oracle

Asset Liability Management: An Overview Page 3 NIM = (Interest income – Interest expense) / Earning assets A bank’s NIM, in turn, is a function of the interest-rate sensitivity, volume, and mix

  Oracle, Liability, Management, Asset, Asset liability management

Hedging Real-Estate Risk - Yale University

2 Property Derivatives for Managing European Real-Estate Risk Abstract Although property markets represent a large proportion of total wealth in developed

  Risks, Real, Estate, Hedging, Hedging real estate risk

Haoxiang Zhu - mit.edu

Publications and Accepted Papers (in reverse chronological order) 14.Mortgage Dollar Roll, with Zhaogang Song, July 2018. Forthcoming at Review of Financial